A threshold model for Australian Stock Exchange equities

被引：6

作者：

Bertram, WK ^{[1
]}

机构：

[1] Univ Sydney, Sch Math & Stat, Sydney, NSW 2006, Australia

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2005年 / 346卷 / 3-4期

关键词：

econophysics; zero return enhancement; stochastic process;

D O I：

10.1016/j.physa.2004.08.020

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper, we present a threshold model to describe the phenomena of zero return enhancement that is present in Australian Stock Exchange data. We examine the intraday behaviour of the ASX data and construct a new measure for the market activity using principal component analysis. We use this measure to create a business time scale that keeps the level of zero return enhancement constant throughout trading hours. Operating in this new time scale we fit the model to data for small and large time scales and find that the model affords an excellent approximation of the distribution of stock returns. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：561 / 576

页数：16

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